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Checking headspace

I've never done it, what all do I need to buy?

You need to buy or rent a set of headspace gauges for the caliber your are working on it,
they come in sets of two sometimes three or you can even purchase it individually ,
The set of two come with : GO gauge and NO GO gauge,
with the " GO GAUGE " you should be able to close your bolt and lock it in place ready to shoot
With the " NO GO GAUGE " the bolt should NOT close all the way in order to have a safe chamber
If it close with 'NO GO GUAGE " its not safe to shoot and you need to get that weapon check by a gunsmith
 
Do not force the close on the no go gauge. There's a method involving removing the extractor from the bolt ( I think) otherwise you will have a bolt partially closed on a no go gauge and a real bitch getting it back out. Google it or let someone here tell ya.